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FINRA-ICE Data Services Structured Trading Activity Reports

Structured Trading Activity Report TBA Pass-Thru Agency CMO Non-Agency CMO/ABS Daily CMBS Weekly CMBS CBO/CDO/CLO

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 95.0 * 99.9 101.2 * * *
Weighted Avg. Price 95.6 * 100.0 101.2 * * *
Avg. Price Bottom 5 Trades 94.0 * 99.9 101.1 * * *
2nd Quartile Price 94.6 * 99.9 101.1 * * *
3rd Quartile Price 96.0 * 100.0 101.2 * * *
4th Quartile Price 97.0 * 100.0 101.2 * * *
Avg. Price Top 5 Trades 95.8 * 100.0 101.2 * * *
Standard Deviation 2.0 * 0.1 - * * *
     VOLUME OF TRADES (000'S) 69,790.0 * 308,700.0 362,600.0 * * *
     NUMBER OF TRADES 9 * 18 21 * * *
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
FEBRUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * 99.9 101.1 * - -
Weighted Avg. Price * * 99.9 101.1 * - -
Avg. Price Bottom 5 Trades * * 99.8 101.1 * - -
2nd Quartile Price * * 99.8 101.1 * - -
3rd Quartile Price * * 99.9 101.1 * - -
4th Quartile Price * * 100.0 101.1 * - -
Avg. Price Top 5 Trades * * 99.9 101.1 * - -
Standard Deviation * * 0.1 - * - -
     VOLUME OF TRADES (000'S) * * 60,250.0 289,000.0 * - -
     NUMBER OF TRADES * * 11 14 * - -
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 96.7 * 99.8 101.0 * - -
Weighted Avg. Price 96.9 * 99.9 101.1 * - -
Avg. Price Bottom 5 Trades 96.7 * 99.8 101.0 * - -
2nd Quartile Price * * 99.8 * * - -
3rd Quartile Price * * 99.9 * * - -
4th Quartile Price * * 99.9 * * - -
Avg. Price Top 5 Trades 96.7 * 99.9 101.0 * - -
Standard Deviation 0.5 * 0.1 - * - -
     VOLUME OF TRADES (000'S) 23,000.0 * 44,300.0 31,300.0 * - -
     NUMBER OF TRADES 5 * 10 5 * - -
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

DECEMBER Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE - - - * * - -
Weighted Avg. Price - - - * * - -
Avg. Price Bottom 5 Trades - - - * * - -
2nd Quartile Price - - - * * - -
3rd Quartile Price - - - * * - -
4th Quartile Price - - - * * - -
Avg. Price Top 5 Trades - - - * * - -
Standard Deviation - - - * * - -
     VOLUME OF TRADES (000'S) - - - * * - -
     NUMBER OF TRADES - - - * * - -
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
JANUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.4 94.9 97.6 99.8 101.3 102.6 103.9
Weighted Avg. Price 87.9 94.9 97.6 99.7 101.3 102.6 103.9
Avg. Price Bottom 5 Trades 80.9 94.7 97.5 99.6 101.2 102.5 103.8
2nd Quartile Price 88.4 94.8 97.6 99.7 101.3 102.6 103.9
3rd Quartile Price 88.5 94.9 97.7 99.8 101.3 102.6 103.9
4th Quartile Price 92.2 95.0 97.7 99.8 101.4 102.6 104.0
Avg. Price Top 5 Trades 92.6 95.0 97.7 99.9 101.4 102.7 104.0
Standard Deviation 3.6 0.1 0.1 0.1 0.1 - 0.1
     VOLUME OF TRADES (000'S) 2,129,769.5 414,819.0 1,373,641.0 3,848,661.0 4,674,478.0 2,886,282.0 575,918.0
     NUMBER OF TRADES 146 49 86 243 242 83 39
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE 89.6 94.5 97.5 99.8 100.9 101.9 103.3
Weighted Avg. Price 89.8 94.5 97.5 99.7 100.9 101.8 103.2
Avg. Price Bottom 5 Trades 86.0 94.4 97.4 99.7 100.9 101.8 103.2
2nd Quartile Price 89.8 94.5 97.4 99.7 100.9 101.9 103.2
3rd Quartile Price 89.9 94.6 97.5 99.8 100.9 101.9 103.3
4th Quartile Price 90.9 94.6 97.5 99.8 101.0 101.9 103.3
Avg. Price Top 5 Trades 91.3 94.6 97.5 99.8 101.0 102.0 103.3
Standard Deviation 1.6 0.1 0.1 0.1 - 0.1 0.1
     VOLUME OF TRADES (000'S) 1,361,595.5 26,725.0 305,450.0 1,247,200.0 2,772,480.0 1,179,623.1 103,510.3
     NUMBER OF TRADES 81 11 22 60 81 50 14
FEBRUARY Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE 88.0 94.9 97.6 99.6 101.2 102.5 103.9
Weighted Avg. Price 87.2 94.8 97.5 99.6 101.2 102.5 103.9
Avg. Price Bottom 5 Trades 81.9 94.8 97.4 99.5 101.2 102.5 103.9
2nd Quartile Price 88.1 94.8 97.5 99.6 101.2 102.5 103.9
3rd Quartile Price 88.4 94.9 97.6 99.7 101.2 102.5 104.0
4th Quartile Price 91.9 94.9 97.6 99.7 101.3 102.6 104.0
Avg. Price Top 5 Trades 92.1 94.9 97.7 99.8 101.3 102.6 104.0
Standard Deviation 3.6 0.1 0.1 0.1 0.1 0.1 0.1
     VOLUME OF TRADES (000'S) 1,344,195.0 936,500.0 676,200.0 967,800.0 1,709,000.0 2,488,509.0 950,000.0
     NUMBER OF TRADES 44 11 37 109 73 32 13
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE 90.1 * 97.4 99.6 100.8 101.8 103.1
Weighted Avg. Price 89.8 * 97.4 99.6 100.8 101.6 103.0
Avg. Price Bottom 5 Trades 89.8 * 97.3 99.5 100.8 101.7 103.1
2nd Quartile Price 89.8 * 97.3 99.6 100.8 101.8 *
3rd Quartile Price 89.8 * 97.4 99.6 100.8 101.8 *
4th Quartile Price 89.9 * 97.5 99.7 100.9 101.9 *
Avg. Price Top 5 Trades 90.5 * 97.5 99.8 100.9 101.9 103.1
Standard Deviation 0.5 * 0.1 0.1 - 0.1 0.1
     VOLUME OF TRADES (000'S) 804,900.0 * 53,700.0 474,400.0 1,535,250.0 934,000.0 46,000.0
     NUMBER OF TRADES 24 * 17 48 56 35 5
MARCH Settlement
METRIC COUPON
<= 3.5 4 4.5 5 5.5 6 > 6
UMBS
AVERAGE PRICE * * 97.4 99.5 101.1 102.4 *
Weighted Avg. Price * * 97.4 99.5 101.0 102.4 *
Avg. Price Bottom 5 Trades * * 97.4 99.4 101.0 102.4 *
2nd Quartile Price * * 97.4 99.4 101.0 102.4 *
3rd Quartile Price * * 97.5 99.5 101.1 102.5 *
4th Quartile Price * * 97.5 99.6 101.1 102.5 *
Avg. Price Top 5 Trades * * 97.5 99.6 101.1 102.5 *
Standard Deviation * * 0.1 0.1 0.1 - *
     VOLUME OF TRADES (000'S) * * 68,500.0 311,250.0 172,500.0 74,600.0 *
     NUMBER OF TRADES * * 12 51 33 17 *
FHLMC
AVERAGE PRICE - - - - - - -
Weighted Avg. Price - - - - - - -
Avg. Price Bottom 5 Trades - - - - - - -
2nd Quartile Price - - - - - - -
3rd Quartile Price - - - - - - -
4th Quartile Price - - - - - - -
Avg. Price Top 5 Trades - - - - - - -
Standard Deviation - - - - - - -
     VOLUME OF TRADES (000'S) - - - - - - -
     NUMBER OF TRADES - - - - - - -
GNMA
AVERAGE PRICE * * 97.3 99.5 100.7 101.7 *
Weighted Avg. Price * * 97.3 99.5 100.7 101.8 *
Avg. Price Bottom 5 Trades * * 97.3 99.4 100.7 101.7 *
2nd Quartile Price * * 97.3 99.4 100.7 101.7 *
3rd Quartile Price * * 97.4 99.5 100.7 101.7 *
4th Quartile Price * * 97.4 99.5 100.8 101.8 *
Avg. Price Top 5 Trades * * 97.3 99.6 100.8 101.8 *
Standard Deviation * * 0.1 0.1 - 0.1 *
     VOLUME OF TRADES (000'S) * * 24,500.0 101,500.0 160,500.0 154,100.0 *
     NUMBER OF TRADES * * 9 24 27 17 *
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS List or Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-ICE Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email [email protected].